Which type of monetary policy rule best describes the conducted by Bank Japan (BOJ) during period when nominal interest rate is constrained at zero lower bound (ZLB)? What are economic fundamentals that explain Japan's prolonged stagnation? How important incorporating nonlinearities in analysis? We answer these questions estimating a small-scale nonlinear dynamic stochastic general equilibrium ...

We employ a newly-developed partial cointegration system allowing for level shifts to examine whether economic fundamentals form the long-run determinants of dollar-pound exchange rate over recent period characterised by structural breaks and policy regime shifts. The paper models both short-run dynamic features using set variables that explicitly reflect quantitative monetary influence forward...

We provide a structural Bayesian equilibrium learning model that captures the interaction of the uncertainty about fundamentals of investors and the central bank. In our model central bank policy is able to affect fundamental state transitions and investors can learn about future fundamental states from observing policy variables. We show that investors’ fear measures — implied volatility (ATMI...

The cost of equity for banks equates to the compensation that market participants demand investing in and holding banks’ equity, has important implications transmission monetary policy financial stability. Notwithstanding its importance, is unobservable therefore needs be estimated. This occasional paper provides estimates listed unlisted euro area using a three-step methodology. In first step,...

This paper offers an analytical framework with which to assess some recent proposals for strengthening the international financial architecture. We develop a model of sovereign liquidity crises that reflects two sources of financial stress – weak fundamentals and self-fulfilling expectations. We examine the nature of the underlying co-ordination game and investigate the properties of the unique...

Working papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded offi cial Federal Reserve Bank of Cleveland publications. The views stated herein are those of the authors and are not necessarily those of the Federal Reserve Ban...

A core objective of the Conference and this paper in particular is to bring together macro and monetary specialists on the one hand, and those who concentrate on the operation of property markets on the other – and to make each better understand the other. In the main they do not engage. Property analysts generally take the macro environment as given and then ask what follows for their particul...